PROBABILITY

RANDOM VARIABLES

Problem The probability density function of a continuous random variable X is given

by f  x   Ke x . Find K and C.D.F of X
Solution:
Since it is a probability density function,

 f  x dx  1



x
Ke dx  1


2  Ke  x dx  1
0

 e x  1
2K    1 2K  1 K .
 1  0 2
Therefore,
1
f  x   ex ,    x  0
2
1 x
 e , 0x
2
x
1 1
For x ≤ 0, the C.D.F is F  x    2e dx  2 e
x x


0 x
1 1 1 1 1
For x > 0, F  x    2e dx   2e
x x
dx   (1  e  x )  (2  e  x )
 0
2 2 2

Problem X and Y are independent random variables with variance 2 and 3. Find the
variance of 3X  4Y .
Solution:
V  3 X  4Y   9Var ( X )  16Var (Y )  24Cov( XY )
 9  2  16  3  0 ( X & Y are independent cov( XY )  0 )
 18  48  66.

Problem A Continuous random variable X has a probability density function

F  x   3 x ; 0  x  1. Find ‘a’ such that P  x  a   P  x  a 
2

Solution:
We know that the total probability =1

1
Given P  X  a   P  X  a   K ( say )
Then K  K  1
1
K
2
1 1
i.e., P  X  a   & P  X  a  
2 2
1
Consider P  X  a  
2
a
1
i.e.,  f  x  dx 
0
2
a
1
 3x dx  2
2

0
a
 x3 
1/ 3
1 1 1
3   a3  a   .
 3 0 2 2  2
Cxe x ; if x  0
Problem A random variable X has the p.d.f f  x  given by f  x   
0 ; if x  0
Find the value of C and cumulative density function of X .
Solution:

Since  f  x  dx  1



 Cxe
x
dx  1
0

C  x  e  x    e  x    1

C 1
0

 xe  x ; x  0
 f  x  
 0 ;x  0
x x
C.D.F F  x    f  x dt   te t dt   te t  e t    xe  x  e  x  1
x

0
0 0

= 1  1  x  e x
for x ≥ 0.
1
  x  1 ; 1  x  1
Problem If a random variable X has the p.d.f f  x    2 , find the
 0 ; otherwise
mean and variance of X .
Solution:
1 1 1
x  x  1 dx    x 2  x  dx
1 1
Mean=  xf  x  dx  
1
2 1 2 1

2
 1
1  x3 x 2  1
    
2  3 2 1 3
1
1 x x3 
1 1 4
 2   x f2
 x dx 
1
2 1
 x 3
 x 2
 dx  
2 4
 
3  1
1

1 1 1 1 1
     
2  4 3 4 3
1 2 1
 . 
2 3 3

 
2
Variance   2  1
1 1 3 1 2
=    .
3 9 9 9

2e2 x ; x  0
Problem A random variable X has density function given by f  x    .
0 ; x  0
Find the moment generating function.
Solution:
 
M X  t   E  etx    etx f  x  dx   etx 2e 2 x dx
0 0

 2  e
t 2 x
dx
0

 e t  2  x  2
 2   ,t  2.
 t  2 0 2  t
 PART - B
Problem A random variable X has the following probability function:
Values of
X : 0 1 2 3 4 5 6 7
PX  : 0 K 2K 2K 3K K2 2K 2 7K 2  K
Find (i) K , (ii) Evaluate P  X  6  , P  X  6  and P  0  X  5 
(iii). Determine the distribution function of X .
Solution:
(i)
7
Since  P  x   1,
x 0

K  2 K  2 K  3K  K  2 K 2  7 K 2  K  1
2

10K2+9K−1=0
1
K or K  1
10
1
As P  x  cannot be negative K 
10
(ii)
P  X  6   P  X  0   P  X  1  ...  P  X  5 
1 2 2 3 1 81
      ... 
10 10 10 10 100 100
Now P  X  6   1  P  X  6 
81 19
 1
100 100
Now P  0  X  5   P  X  1  P  X  2   P  X  3   P  X  4 
 K  2 K  2 K  3K
8 4
 8K   .
10 5
(iii) The distribution of X is given by FX  x  defined by

5
 FX  x   P  X  x 
X : 0 1 2 3 4 5 6 7

FX  x  : 0
1 3 5 4 81 83
1
10 10 10 5 100 100

Problem (i). If the probability distribution of X is given as

X : 1 2 3 4
P  X  : 0.4 0.3 0.2 0.1
Find P 1/ 2  X  7 / 2 X  1
x
 ; x  1, 2,3, 4,5
(ii). If P  x   15
0 ; elsewhere
find (a) P  X  1 or 2 and (b) P 1/ 2  X  5 / 2 x  1
Solution:
P 1/ 2  X  7 / 2   X  1
(i) P 1/ 2  X  7 / 2 / X  1 
P  X  1
P  X  2 or 3

P  X  2,3 or 4 
P  X  2   P  X  3

P  X  2   P  X  3  P  X  4 
0.3  0.2 0.5 5
   .
0.3  0.2  0.1 0.6 6

(ii) (a) P  X  1 or 2   P  X  1  P  X  2 
1 2 3 1

  
15 15 15 5
 1 5 
P   X     X  1 
1  2 2
(b) P   X  / x  1   
5
2 2  P  X  1
P  X  1or 2    X  1

P  X  1
P  X  2

1  P  X  1
2 /15 2 /15 2 1
    .
1  1/15  14 /15 14 7

6
Problem A random variable X has the following probability distribution
X :  2 1 0 1 2 3
P  X  : 0.1 K 0.2 2 K 0.3 3K
a) Find K , b) Evaluate P  X  2  and P  2  X  2 
b) Find the cdf of X and d) Evaluate the mean of X .

Solution:
a) Since  P X  1
0.1  K  0.2  2 K  0.3  3K  1
6 K  0.6  1
6 K  0.4
0.4 1
K 
6 15
b) P  X  2   P  X  2, 1, 0 or 1
 P  X  2   P  X  1  P  X  0   P  X  1
1 1 1 2
   
10 15 5 15
3  2  6  4 15 1
  
30 30 2

P  2  X  2   P  X  1, 0 or 1
 P  X  1  P  X  0   P  X  1
1 1 2
  
15 5 15
1 3  2 6 2
  
15 15 5
c) The distribution function of X is given by FX  x  defined by
FX  x  = P  X  x 
X :  2 1 0 1 2 3

FX  x  :
1 1 11 1 4
1
10 6 30 2 5

d) Mean of X is defined by E  X    xP  x 

 1  1   1  2   3   1
E  X    2     1    0    1    2     3  
 10   15   5   15   10   5 
1 1 2 3 3 16
      .
5 15 15 5 5 15

7
Problem 16 X is a continuous random variable with pdf given by
 Kx in 0  x  2
2 K in 2  x  4

FX   
6 K  Kx in 4  x  6
0 elsewhere
Find the value of K and also the cdf FX  x  .
Solution:

Since  F  x  dx  1

2 4 6

 Kxdx   2Kdx    6k  kx dx  1

0 2 4

 x 
2 2 6
 x2  
6

K     2 x  2    6 x     1
4

 2 0 4
2 4 

K  2  8  4  36  18  24  8  1
8K  1
1
K
8
x
We know that FX  x    f  x  dx

x
If x  0 , then FX  x    f  x  dx  0

x
If x   0, 2  , then FX  x    f  x  dx

0 x
FX  x    f  x  dx   f  x  dx
 0
0 x 0 x
1
  0dx   Kxdx 
 0
 0dx 

8 0
xdx
x
 x2  x2
    ,0  x  2
 16 0 16
x
If x   2, 4  , then FX  x    f  x  dx

0 2 x
FX  x    f  x  dx   f  x  dx   f  x  dx
 0 2
0 2 x
  0dx   Kxdx   2 Kdx
 0 2

8
 2
 x2   x 
2 x x
x 1
  dx   dx      
0
8 2
4  16 0  4 2
1 x 1
  
4 4 2
x 4 x 1
   ,2 x4
4 16 4
0 2 4 x
If x   4, 6  , then FX  x    0dx   Kxdx   2Kdx   k  6  x  dx
 0 2 4
2 4 x
x 1 1
  dx   dx    6  x  dx
0
8 2
4 4
8
2 x
 x2   x   6x x2 
4

       
 16 0  4 2  8 16 4
1 1 6 x x2
 1    3 1
4 2 8 16
4  16  8  12 x  x 2  48  16

16
 x  12 x  20
2
 ,4  x  6
16
0 2 4 6 x
If x  6 , then FX  x    0dx   Kxdx   2Kdx   k  6  x  dx   0dx
 0 2 4 6
1, x  6
0 ;x0
 2
x ;0  x  2
16
 1
 FX  x     x  1 ;2 x4
4
 1
16  20  12 x  x  ; 4  x  6
2


 1 ;x  6

 K
 ,   x  
Problem A random variable X has density function f  x   1  x 2
 0 , Otherwise
Determine K and the distribution function. Evaluate the probability P  x  0  .
Solution:

Since  f  x dx  1


9
 
K
 1 x

2
dx  1

dx
K 1

1  x2
K  tan 1 x 

1


    
K      1
 2  2 
K  1
1
K

x x
K
FX  x    f  x dx   1 x 2
dx
 

  tan 1 x 
1 x

 

1   
  tan 1 x     
  2 
1  1 
  2  tan x  ,   x  


  tan 1 x 
1 dx 1 
P  X  0  
 0 1 x 2
 0

1  1  1
   tan 0   .
2  2

 Ke 3 x , x  0
Problem If X has the probability density function f  x    find K ,
0 , otherwise
P  0.5  X  1 and the mean of X .

Solution:

Since  f  x  dx  1



 Ke
3 x
dx  1
0

 e3 x  K
K  1 1 K 3
 3  0 3
e3  e 1.5
1 1
P  0.5  X  1   f  x  dx  3  e
3 x
dx  3  e 1.5  e 3 
0.5 0.5
3

10
  
Mean of X  E  x    xf  x  dx  3 xe 3 x dx
0 0

  e   e 3 x
3 x
 3 1 1
 3x    1   
  3   9 0 9 3
2 x , 0  x  1
Problem A random variable X has the P.d.f f  x   
0 , Otherwise
 1 1 1  3 1
Find (i) P  X   (ii) P   x   (iii) P  X  / X  
 2 4 2  4 2
Solution:
1/ 2
 1
1/ 2 1/ 2
 x2  2 1 1
(i) P  x   
 2  f  x  dx  
0 0
2 xdx  2   
 2 0 8

4
1/ 2
1 1
1/ 21/ 2
 x2 
(ii) P   x     f  x  dx   2 xdx  2  
4 2  1/ 4 1/ 4  2 1/ 4
1 1  1 1  3
 2        .
 8 32   4 16  16
 3 1  3
P X   X   P X  
 1
(iii) P  X  / X    
2
 
3 4 4
 4 2  1   1 
P X   P X  
 2   2 
1
 3
1 1
 x2  9 7
P  X     f  x  dx   2 xdx  2    1  
 4  3/ 4 3/ 4  2 3/ 4 16 16
1
 1
1 1
 x2  1 3
P  X     f  x  dx   2 xdx  2    1  
 2  1/ 2 1/ 2  2 1/ 2 4 4
7
 3 1  7 4 7
P  X  / X    16    .
 4 2  3 16 3 12
4
Problem A Man drawn 3 balls from an urn containing 5 white and 7 black balls. He
gets Rs.10 for each white ball and Rs.5 for each black ball. Find his expectation.

Solution:
Let X denotes the amount that he expects to receive
W B
5 7
3B 1W & 2 B 2W &1B 3W
X  Rs15 Rs 20 Rs 25 Rs30

11
Unit.1. Random Variables

7 65
 1 2  3 
7C3 7
P  X  15   P  3 Black balls  
12C3 12 1110 44
1 2  3
7C2 .5C1 21
P  X  20   P  2 B 1W   
12C3 44
7c 2.5c 2 14
P  x  25   P  2W 1B   
12c3 44
5C3 2
P  X  30   P  3W   
12C3 44
E  X    xP  x 
7 21 14 2
 15   20   25   30 
44 44 44 44
935
  Rs.21.25
44

Problem From an urn containing 3 red and 2 black balls, a man is to draw 2 balls at
random without replacement, being promised Rs.20/- for each red ball he draws and
Rs.10/- for each black ball. Find his expectation.

Solution:
Let X denotes the amount he receives
R B
3 2
2B 1R 1B 2R
X  Rs 20 Rs30 Rs 40
2 1
2C2 1 2 1
P  X  20   P  2 Black balls    
5C2 5  4 10
1 2
3C  2C1 6
P  X  30   P 1 Re d & 1 Black ball   1 
5C2 10
3C 3
P  X  40   P  2 Re d balls   2 
5C2 10
E  x    xP  x 
1 6 3
= 20   30   40 
10 10 10
20  180  120 320
 
10 10
E  x   Rs.32 / 

12
Problem The elementary probability law of a continuous random variable is
f  x   y0 e
 b x  a 
, a  x  , b  0 where a, b and y0 are constants. Find y0 , the rth
moment about the point x  a and also find the mean and variance.

Solution:
Since the total probability is unity,



 f  x  dx  1

 b x  a 
y0  e dx  1
0

 e  b x  a  
y0   1
  b 0
  1
y0    1
b
y0  b.

r ( rth moment about the point x  a )    x  a  f  x  dx
r



 b   x  a  e b x a  dx
r

Put x  a  t , dx  dt , when x  a, t  0 ; x  , t  

 b  t r ebt dt
0

  r  1 r!
b  r 1

b br
In particular r  1
1
1 
b
2
 2  2
b
1
Mean  a  1  a 
b

 
2
Variance   2  1
2 1 1
 2
 2  2.
b b b

Problem The first four moments of a distribution about x  4 are 1,4,10 and 45
respectively. Show that the mean is 5, variance is 3, 3  0 and  4  26 .

13
Solution:
Given 1  1, 2  4, 3  10, 4  45
 r  r th moment about to value x  4
Here A  4
Hence mean  A  1  4  1  5

 
2
Variance   2   2  1
 4 1  3 .

 
3
3  3  321  2 1

 10  3  4 1  2 1  0
3

   
2 4
4  4  4 3 1  6 2 1  3 1

 45  4 10 1  6  4 1  3 1

2 4

4  26 .

Problem 2A continuous random variable X has the p.d.f f  x   kx 2e  x , x  0. Find the

rth moment of X about the origin. Hence find mean and variance of X.

Solution:


 Kx e
2 x
Since dx  1
0

  e x   e x   e x  
K  x2    2x    2   1
  1   1   1   0
1
2K  1 K .
2

r   x r f  x dx
0

1 r2  x
2 0
 x e dx


1  x  r 3 1  r  2 !
 
20
e x dx 
2
3!
Putting r  1 , 1   3
2
4!
r  2 , 2   12
2
 Mean = 1  3

14
Unit.1. Random Variables

 
2
Variance =  2  1

i.e.,  2  12   3  12  9 =3
2

Problem Find the moment generating function of the random variable X, with
x for 0  x  1

probability density function f  x    2  x for 1  x  2 . Also find 1 ,  2 .
0
 otherwise
Solution:

M X t    e f  x dx
tx


1 2
  e xdx   etx  2  x  dx
tx

0 1
1 2
 xe e   tx
etx etx 
tx
  2    2  x   (1) 2 
 t t 0  t t 1
t t 2t t t
e e 1 e e e
  2 2 2   2
t t t t t t
2
 et  1 
 
 t 
2
 t t2 t3 
 1     ...  1
 1! 2! 3! 
2
 t t2 t3 
 1     ...
 2! 3! 4! 
t
1  coeff . of 1
1!
t2 7
2  coeff . of  .
2! 6
Problem Find the moment generating function and rth moments for the distribution
whose p.d.f is f  x   Ke  x , 0  x   . Find also standard deviation.

Solution:
Total probability=1

  ke x dx  1
0

 e x 
k   1 k 1
 1  0

15
  
M X  t   E etx    etx e  x dx   e t 1 x dx
0 0

e  t 1 x
 1
   , t 1
 t  1 0 1  t
 1  t   1  t  t 2  ...  t r  ...
1

t2
r  coeff . of  r!
r!
When r  1 , 1  1!  1
r  2 ,  2  2!  2
Variance   2  1  2  1  1
 Standard deviation = 1.

Problem Find the moment generating function for the distribution whose p.d.f is
f  x    e , x  0 and hence find its mean and variance.
 x

Solution:
 
M X t   E  e tx
   e f  x  dx   e
tx   x tx
e dx
0 0


 x  t   e  x   t   
  e dx     
0      t  0   t
d     1
Mean  1   M X  t     2

 dt  t 0     t   t 0 

 d2     2  2
2   2 M X  t     3
 2
 dt  t 0     t   t 0 

 
2
2 1 1
Variance   2  1  2  2  2
  
 1  2x
 e ,x 0
Problem Let the random variable X have the p.d.f f  x    2
0
 , otherwise.
Find the moment generating function, mean & variance of X .

Solution:
 
M X  t   E  etx  
1 x/ 2
 e f  x  dx   e
tx tx
e dx
 0
2

16
 
 t1 x 
1  e 2  
 t 1 x  
1   1 1
  e 2  dx     , if t  .
20 2  1   1  2t 2
t
  2  
0

d   2 
E  X    M X  t    2
2
 dt  t 0  1  2t   t 0

 d2   8 
E  X 2    2 M X  t    3
8
 dt  t 0  1  2t   t 0
Var  X   E  X 2    E  X    8  4  4 .
2

17
 MODULE -II
RANDOM VARIABLES

1. A random sample ‘X’ has the probability function

X 0 1 2 3 4 5 6 7 8
P(x) a 3a 5a 7a 9a 11a 13a 15a 17a
Determine the value of a

Solution:

Wkt if P(x) is the probability mass function then

i.e. a+3a+5a+7a+9a+11a+13a+15a+17a=1

81a=1

a=

2. If X is a continuous random variable whose probability density function is given by

_ {C(4X - 2x2),
what is the value of c?
otherwise

Wkt

f
2

c(4x - 2X2)dx =
o

2c

2c

2c

2c =1 c=

3. Given that the p.d.f of a R.V X is find K and P(X>0.5)

 W.k.t

K=2

Also P(X>0.5)= fo~ f ex) dx = fo\ 2xdx

=2

4. In a continuous random variable X having the p.d.f

Find P(0<X

P(0<X

5. For the following c.d.f F(x)= find (i)P(X>0.2) (ii)P(0.2<X

P(X>0.2)=1-P(X 0.5)

=1-F(0.2)=1-0.2=0.8

(ii)P(0.2<X =F(0.5)-F(0.2)

=0.5-0.2=0.3